It takes the average reader 1 hour and 12 minutes to read Performance Bounds and Suboptimal Policies for Multi-period Investment by Stephen P. Boyd
Assuming a reading speed of 250 words per minute. Learn more
We consider dynamic trading of a portfolio of assets in discrete periods over a finite time horizon, with arbitrary time-varying distribution of asset returns. The goal is to maximize the total expected revenue from the portfolio, while respecting constraints on the portfolio such as a required terminal portfolio and leverage and risk limits. The revenue takes into account the gross cash generated in trades, transaction costs, and costs associated with the positions, such as fees for holding short positions. Our model has the form of a stochastic control problem with linear dynamics and convex cost function and constraints. While this problem can be tractably solved in several special cases, such as when all costs are convex quadratic, or when there are no transaction costs, our focus is on the more general case, with nonquadratic cost terms and transaction costs. We show how to use linear matrix inequality techniques and semidefinite programming to produce a quadratic bound on the value function, which in turn gives a bound on the optimal performance. This performance bound can be used to judge the performance obtained by any suboptimal policy. As a by-product of the performance bound computation, we obtain an approximate dynamic programming policy that requires the solution of a convex optimization problem, often a quadratic program, to determine the trades to carry out in each step. While we have no theoretical guarantee that the performance of our suboptimal policy is always near the performance bound (which would imply that it is nearly optimal) we observe that in numerical examples the two values are typically close.
Performance Bounds and Suboptimal Policies for Multi-period Investment by Stephen P. Boyd is 72 pages long, and a total of 18,144 words.
This makes it 24% the length of the average book. It also has 22% more words than the average book.
The average oral reading speed is 183 words per minute. This means it takes 1 hour and 39 minutes to read Performance Bounds and Suboptimal Policies for Multi-period Investment aloud.
Performance Bounds and Suboptimal Policies for Multi-period Investment is suitable for students ages 8 and up.
Note that there may be other factors that effect this rating besides length that are not factored in on this page. This may include things like complex language or sensitive topics not suitable for students of certain ages.
When deciding what to show young students always use your best judgement and consult a professional.
Performance Bounds and Suboptimal Policies for Multi-period Investment by Stephen P. Boyd is sold by several retailers and bookshops. However, Read Time works with Amazon to provide an easier way to purchase books.
To buy Performance Bounds and Suboptimal Policies for Multi-period Investment by Stephen P. Boyd on Amazon click the button below.
Buy Performance Bounds and Suboptimal Policies for Multi-period Investment on Amazon